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Title
Heterogeneous beliefs, relative wealth concerns, and Sharpe ratios / von Ashim Dubey
AuthorDubey, Ashim
CensorReiter, Michael
Published2014
Description40 Bl.
Institutional NoteWien, Techn. Univ., Master Thesis, 2014
LanguageEnglish
Document typeMaster Thesis
Keywords (EN)heterogeneous beliefs / relative wealth index / Sharpe ratio / state price densities
URNurn:nbn:at:at-ubtuw:1-65764 Persistent Identifier (URN)
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 The work is publicly available
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Abstract (English)

This work considers a continuous time pure exchange economy where the agents have heterogeneous beliefs about the aggregate dividend pro- cess and also care about relative wealth concerns. It is shown, analytically, that in the special case where the agents have logarithmic utility, the rel- ative wealth concerns do not in uence the equilibrium. Another special case is considered where the agents' risk aversion parameter is 2 and it is shown that the Sharpe ratios are time-dependent and the final wealth state dependent.

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